Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany
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- Long H. Vo, 2014. "Application of Kalman Filter on modelling interest rates," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 1-15, March.
- Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2005-01-23 (Econometric Time Series)
- NEP-FIN-2005-01-23 (Finance)
- NEP-MON-2005-01-23 (Monetary Economics)
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